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A likelihood ratio test for stationarity of rating transitions · Study

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ArticleA likelihood ratio test for stationarity of rating transitions

Rafael Weißbach2009

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Articlegreen2009

A likelihood ratio test for stationarity of rating transitions

Rafael Weißbach · Ronja Walter

23 citations·0/0 files stored·Journal of Econometrics

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Credit Risk and Financial Regulations Probability and Statistical Research Stochastic processes and financial applications

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References

2010Basel Committee On Banking Supervision 1984Econometric duration analysis 2002Ratings migration and the business cycle, with application to credit portfolio stress testing 2002Analyzing rating transitions and rating drift with continuous observations 2002An Introduction to Credit Risk Modeling 1980Central limit theorems for local martingales 2007Credit rating dynamics and Markov mixture models 2004Confidence sets for continuous-time rating transition probabilities

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Year2009

Typearticle

Published2009-10-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations23

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jeconom.2009.10.016

openalex_workW2020138064

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